I applied through college or university. The process took 1 day. I interviewed at Jane Street (New York, NY) in Feb 2011
Interview
The guy asked a lot of mental math and brainteasers. For the mental math, he had me answer as fast as possible, and afterwards they ask you to bet on your answers. Brainteasers weren't too difficult, just make sure you think out loud. This one was first round on campus, and there will be more phone interviews and an on-site interview.
Interview questions [1]
Question 1
How much would you bet for your answers to be correct.
They tend to examine the logical thinkers that can communicate clearly and concisely, and some problem-solving exercises intended to explore how you gather and apply new information, very different from other tech companies' interviews.
Initial application and online assessment. Had a first round behavioral interview where they asked me about myself, my experiences, and a couple of brain teasers. The interviewer was very nice.
Phone interviews (at least 3) - questions were of mixed difficulty (some pretty hard) but the interviewers were friendly and they gave helpful hints. Kind of fun - review probability and game-type questions.